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  • Error Bounds for Importance Sampling with Estimated Proposal Distributions math.ST · 2026-05-19 · unverdicted · none · ref 108

    Derives non-asymptotic error bounds for standard, defensive, and self-normalized importance sampling with random KDE proposals from geometrically ergodic Markov chains, separating n^{-1/2} Monte Carlo error from MIAE/MISE proposal error.